On the expected discounted penalty function for the compound Poisson risk model with delayed claims

In this paper, we consider an extension to the compound Poisson risk model for which the occurrence of the claim may be delayed. Two kinds of dependent claims, main claims and by-claims, are defined, where every by-claim is induced by the main claim and may be delayed with a certain probability. Both the expected discounted penalty functions with zero initial surplus and the Laplace transforms of the expected discounted penalty functions are obtained from an integro-differential equations system. We prove that the expected discounted penalty function satisfies a defective renewal equation. An exact representation for the solution of this equation is derived through an associated compound geometric distribution, and an analytic expression for this quantity is given for when the claim amounts from both classes are exponentially distributed. Moreover, the closed form expressions for the ruin probability and the distribution function of the surplus before ruin are obtained. We prove that the ruin probability for this risk model decreases as the probability of the delay of by-claims increases. Finally, numerical results are also provided to illustrate the applicability of our main result and the impact of the delay of by-claims on the expected discounted penalty functions.     

一类聚合风险模型

本文提出了一类聚合风险模型--INARCR.研究了相关结构及性质;给出了总理赔量的极小值及拐点的条件和聚合风险模型的中心极限;余额过程中调节系数的系列性质.最后给出了周期d=2时聚合风险模型参数的矩估计.     

On the Distributions of Two Classes of Multiple Dependent Aggregate Claims

In this paper we examine two classes of correlated aggregate claims distributions, with univariate claim counts and multivariate claim sizes. Firstly, we extend the results of Hesselager [ASTIN Bulletin, 24： 19-32（1994）] and Wang ＆ Sobrero＇s [ASTIN Bulletin, 24：161-166 （1994）] concerning recursions for compound distributions to a multivariate situation where each claim event generates a random vector. Then we give a multivariate continuous version of recursive algorithm for calculating a family of compound distribution. Especially, to some extent, we obtain a continuous version of the corresponding results in Sundt [ASTIN Bulletin, 29：29-45 （1999）] and Ambagaspitiya [Insurance： Mathematics and Economics, 24：301-308 （1999）]. Finally, we give an example and show how to use the algorithm for aggregate claim distribution of first class to compute recursively the compound distribution.     

带干扰风险的破产模型的研究

本文对古典风险模型中保险公司按单位时间常数率收到保险费的假设做了改进,将每次收到的保险费的次数看作是复合泊松过程,将每次收到的保费和每次的理陪额均看作是服从指数分布的随机变量,并引入带干扰风险的扰动项,从而对古典风险模型进行推广,且给出了相应的破产概率上界,分析了破产概率的上界与准备金,索赔额,净保费和扰动方差之间的关系.     

Martingales and stochastic integrals in the theory of continuous trading

This paper develops a general stochastic model of a frictionless security market with continuous trading. The vector price process is given by a semimartingale of a certain class, and the general stochastic integral is used to represent capital gains. Within the framework of this model, we discuss the modern theory of contingent claim valuation, including the celebrated option pricing formula of Black and Scholes. It is shown that the security market is complete if and only if its vector price process has a certain martingale representation property. A multidimensional generalization of the Black-Scholes model is examined in some detail, and some other examples are discussed briefly.     

Rates in Approximations to Ruin Probabilities for Heavy-Tailed Distributions

A well known result by Embrechts and Veraverbeke [3] says that, for subexponential distribution functions F(x), the tail of the compound sum distribution function is approximated by as x . We show that the rate of convergence in this result can be arbitrarily slow. On the other hand, if F satisfies some smoothness condition (for example if F is an integrated tail distribution function) then the rate cannot be worse than O(x^-1).     

The Preparation of Surface Chemically Pure Sodiumn-Dodecyl Sulfate by Foam Fractionation

A novel procedure for the purification to surface chemical standard of sodiumn-dodecyl sulfate and its retrieval as a solid is presented. As a result of their nature and relative surface activity with respect to the product, very small amounts of impurity can significantly alter the result of surface tension experiments. In addition to the preparation, the surface chemical behavior of the product is analyzed and compared with previously published data. Additional suggested criteria for purity are also applied, and their validity is discussed.     

Mean-variance Hedging for Pricing European-type Contingent Claims with Transaction Costs

In this paper,a European-type contingent claim pricing problem with transaction costs is considered by a mean-variance hedging argument.The investor has to pay transaction costs which areproportional to the amount of stock transacted.The writer‘‘s hedging object is to minimize the hedgingrisk,defined as the variance of hedging error at expiration,with a proper expected excess return level.At first, we consider the mean-variance hedging problem:for initial hedging wealth f,maximizing the excess expected return under the minimum hedging risk level V0.On the other hand,we consider a mean-variance portfolio problem,which is to maximize the expected return with initial wealth 0 under the same risk level V0.The minimum initial hedging wealth f,which can offset the difference of the maximum expected return of these two problems,is the writer‘s price.     

Highly sensitive optical humidity probe

A highly sensitive optical humidity probe based on reflectance measurements has been developed using Nafion^®-crystal violet (CV) films. This sensor can be used to calibrate relative humidity (RH) in the range 0-0.25% with a detection limit (blank signal + 3σ_b, where σ_b = the standard deviation (S.D.) of the blank signal) of 0.018% RH (∼4.37 ppm) and exhibited low hysteresis. The sensor films were fully reversible in dry nitrogen and reversal times were shown to be dependent on exposure time and % RH. The response to 1% RH was highly reproducible (S.D. = 1.67%, number of samples (n) = 5). Hydrogen chloride gas did not interfere with the response of the sensor to RH but did reduce sensor reversal times. This sensor displayed sufficient sensitivity that it could be used to detect ppm levels of moisture in process gases such as nitrogen and HCl.     

PACKING OF IONS IN SILICATE GLASSES

Any silicate glass can be regarded as the relaxation of SiO_2 glass and the volumeis composed of two parts. One is the topological volume of O~(2-), which is equal to thevolume per oxygen of SiO_2 glass, the other is the topological volumes of cations. Thetopological volume of a monovalent cation equals the volume shared by each sphere indense haphazard packing of equal spheres of the cation's size. The charges of bivalentcations cause a decrease of volume, the decrement being the packing volume of Ca~(2+). Anequation is reached for the calculation of the volume per oxygen of silicate glasses. Alot of calculations show that the equation is accurate, so accurate that the densities canbe calculated. The study reveals some characters of the glass structure and clearly ex-presses the contributions of various cations to the volumes of glasses.